gmv_opt_toc: GMV/QU QP Optimization with Turnover Constraint

In R-Finance/PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios

Description

This function is called by optimize.portfolio to solve minimum variance or maximum quadratic utility problems with turnover constraint

Usage

  gmv_opt_toc(R, constraints, moments, lambda, target,
    init_weights, solver = "quadprog", control = NULL)

Arguments

R	xts object of asset returns
constraints	object of constraints in the portfolio object extracted with get_constraints
moments	object of moments computed based on objective functions
lambda	risk_aversion parameter
target	target return value
init_weights	initial weights to compute turnover
solver	solver to use
control	list of solver control parameters

Author(s)

Ross Bennett

R-Finance/PortfolioAnalytics documentation built on May 8, 2019, 4:46 a.m.